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Rate efficient estimation of realized Laplace transform of volatility with microstructure noise Journal article
SCANDINAVIAN JOURNAL OF STATISTICS, 2019,Volume: 46,Issue: 3,Page: 920-953
Authors:  Li Wang;  Zhi Liu;  Xiaochao Xia
Favorite  |  View/Download:12/0  |  Submit date:2020/05/22
High-frequency Data  Stable Convergence  Laplace Transform Of Volatility  Microstructure Noise  Pre-averaging  
Guest Editorial: Web-based services and information systems Journal article
WORLD WIDE WEB-INTERNET AND WEB INFORMATION SYSTEMS, 2012,Volume: 15,Issue: 5-6,Page: 483-484
Authors:  Chen, L;  Gong, ZG;  Li, Q
Favorite  |  View/Download:4/0  |  Submit date:2019/05/29
Nonparametric regression with nearly integrated regressors under long-run dependence Journal article
ECONOMETRICS JOURNAL, 2017,Volume: 20,Issue: 1,Page: 118-138
Authors:  Cai, Zongwu;  Jing, Bingyi;  Kong, Xinbing;  Liu, Zhi
Favorite  |  View/Download:18/0  |  Submit date:2018/10/30
Local Time  Ornstein-uhlenbeck Fractional Brownian Motion  Unit Root  
Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations Journal article
FINANCE AND STOCHASTICS, 2017,Volume: 21,Issue: 2,Page: 427-469
Authors:  Liu, Zhi
Favorite  |  View/Download:19/0  |  Submit date:2018/10/30
Integrated Volatility  High-frequency Data  Multiple Observations  Stable Convergence  
ESTIMATING VOLATILITY FUNCTIONALS WITH MULTIPLE TRANSACTIONS Journal article
ECONOMETRIC THEORY, 2017,Volume: 33,Issue: 2,Page: 331-365
Authors:  Jing, Bing-Yi;  Liu, Zhi;  Kong, Xin-Bing
Favorite  |  View/Download:18/0  |  Submit date:2018/10/30
Identifying a Set of Key Members in Social Networks Using SDP-Based Stochastic Search and Integer Programming Algorithms Journal article
ASIA-PACIFIC JOURNAL OF OPERATIONAL RESEARCH, 2017,Volume: 34,Issue: 3
Authors:  Wu, Wentao;  Chan, Wai Kin Victor;  Chi, Lei;  Gong, Zhiguo
Favorite  |  View/Download:29/0  |  Submit date:2018/10/30
Key Player Problem  Social Network Analysis  Semi-definite Programming  Greedy Algorithm  
Cascaded re-ranking modelling of translation hypotheses using extreme learning machines Journal article
APPLIED SOFT COMPUTING, 2017,Volume: 58,Page: 681-689
Authors:  Vong, Chi Man;  Liu, Yan;  Cao, Jiuwen;  Yin, Chun
Favorite  |  View/Download:24/0  |  Submit date:2018/10/30
Cascaded Re-ranking Modelling  Extreme Learning Machine  Statistical Machine Translation  
The modeling and analysis of the word-of-mouth marketing Journal article
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2018,Volume: 493,Page: 1-16
Authors:  Li, Pengdeng;  Yang, Xiaofan;  Yang, Lu-Xing;  Xiong, Qingyu;  Wu, Yingbo;  Tang, Yuan Yan
Favorite  |  View/Download:24/0  |  Submit date:2018/10/30
Word-of-mouth Marketing  Overall Profit  Differential Dynamical System  Equilibrium  Global Attractivity  
Robust Face Hallucination via Locality-Constrained Bi-Layer Representation Journal article
IEEE Transactions on Cybernetics, 2018,Volume: 48,Issue: 4,Page: 1189-1201
Authors:  Liu, Licheng;  Chen, C. L. Philip;  Li, Shutao;  Tang, Yuan Yan;  Chen, Long
Favorite  |  View/Download:26/0  |  Submit date:2018/10/30
Bi-layer Representation  Face Hallucination  Locality-constrained Coding  Robust Coding  
Estimation of spot volatility with superposed noisy data Journal article
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2018,Volume: 44,Page: 62-79
Authors:  Liu, Qiang;  Liu, Yiqi;  Liu, Zhi;  Wang, Li
Favorite  |  View/Download:23/0  |  Submit date:2018/10/30
High Frequency Financial Data  Spot Volatility  Range-based Estimation  Kernel Estimate  Multiple Records  Microstructure Noise  Central Limit Theorem  
Estimating the integrated volatility using high-frequency data with zero durations Journal article
JOURNAL OF ECONOMETRICS, 2018,Volume: 204,Issue: 1,Page: 18-32
Authors:  Liu, Zhi;  Kong, Xin-Bing;  Jing, Bing-Yi
Favorite  |  View/Download:26/0  |  Submit date:2018/10/30
Ito Semimartingale  High Frequency Data  Multiple Transactions  Realized Power Variations  Microstructure Noise  Central Limit Theorem  
Pre-averaging estimate of high dimensional integrated covariance matrix with noisy and asynchronous high-frequency data Journal article
RANDOM MATRICES-THEORY AND APPLICATIONS, 2018,Volume: 7,Issue: 3
Authors:  Liu, Zhi;  Xia, Xiaochao;  Zhou, Guoliang
Favorite  |  View/Download:12/0  |  Submit date:2018/10/30
High-frequency Data  Volatility Estimation  Microstructure Noise